| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -7.52% | 16.46% |
| CAGR﹪ | -3.87% | 7.98% |
| Sharpe | 0.08 | 12.92 |
| Prob. Sharpe Ratio | 53.96% | 100.0% |
| Smart Sharpe | 0.08 | 12.59 |
| Sortino | 0.1 | - |
| Smart Sortino | 0.09 | - |
| Sortino/√2 | 0.07 | - |
| Smart Sortino/√2 | 0.07 | - |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -47.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 38.17% | 0.73% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.08 | - |
| Skew | -4.29 | 10.02 |
| Kurtosis | 44.06 | 103.9 |
| Expected Daily | -0.02% | 0.04% |
| Expected Monthly | -0.35% | 0.69% |
| Expected Yearly | -2.57% | 5.21% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.94% | -0.04% |
| Expected Shortfall (cVaR) | -3.94% | -0.04% |
| Max Consecutive Wins | 8 | 405 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.02 | - |
| Gain/Pain (1M) | 0.04 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.02 | - |
| Common Sense Ratio | 1.1 | - |
| CPC Index | - | - |
| Tail Ratio | 1.08 | 1.84 |
| Outlier Win Ratio | 1.75 | 63.3 |
| Outlier Loss Ratio | 1.69 | - |
| MTD | -15.93% | 1.13% |
| 3M | -23.56% | 3.8% |
| 6M | -4.14% | 5.9% |
| YTD | 7.1% | 7.97% |
| 1Y | 24.81% | 9.33% |
| 3Y (ann.) | -3.87% | 7.98% |
| 5Y (ann.) | -3.87% | 7.98% |
| 10Y (ann.) | -3.87% | 7.98% |
| All-time (ann.) | -3.87% | 7.98% |
| Best Day | 8.05% | 0.57% |
| Worst Day | -26.66% | 0.0% |
| Best Month | 31.77% | 1.13% |
| Worst Month | -28.84% | 0.55% |
| Best Year | 7.1% | 7.97% |
| Worst Year | -16.44% | 1.21% |
| Avg. Drawdown | -7.27% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.16 | - |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 10.81% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 52.41% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -22.88 | - |
| Alpha | 2.19 | - |
| Correlation | -43.9% | - |
| Treynor Ratio | 0.33% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 3.33 | 2.75 | + |
| 2022 | 6.57 | -16.44 | -2.50 | - |
| 2023 | 7.97 | 7.10 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-30 | 2023-06-28 | -47.24 | 394 |
| 2023-08-14 | 2023-11-02 | -29.61 | 80 |
| 2022-01-14 | 2022-02-25 | -7.83 | 42 |
| 2021-11-23 | 2022-01-04 | -6.56 | 42 |
| 2021-11-17 | 2021-11-22 | -2.13 | 5 |
| 2023-07-20 | 2023-07-28 | -1.88 | 8 |
| 2022-01-06 | 2022-01-13 | -1.59 | 7 |
| 2021-11-09 | 2021-11-12 | -1.50 | 3 |
| 2023-07-06 | 2023-07-12 | -0.98 | 6 |
| 2023-07-03 | 2023-07-05 | -0.74 | 2 |